A semi closed-form analytic pricing formula for call options in a hybrid Heston-Hull-White model

K. Hout, in 't, J. Bierkens, A.P.C. Ploeg, van der, J.C.H.W. Panhuis, in 't

Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademicpeer-review

Abstract

Without abstract.
Original languageEnglish
Title of host publicationProceedings 58th European Study Group Mathematics with Industry (ESGI58/SWI2007), 29 January - 2 February 2007, Utrecht, The Netherlands
EditorsR.H. Bisseling, K. Dajani, T.J. Dijkema, J. Leur, van de, P.A. Zegeling
Place of PublicationUtrecht
PublisherUtrecht University
Pages101-105
Publication statusPublished - 2007

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Call option
Pricing
Heston

Cite this

Hout, in 't, K., Bierkens, J., Ploeg, van der, A. P. C., & Panhuis, in 't, J. C. H. W. (2007). A semi closed-form analytic pricing formula for call options in a hybrid Heston-Hull-White model. In R. H. Bisseling, K. Dajani, T. J. Dijkema, J. Leur, van de, & P. A. Zegeling (Eds.), Proceedings 58th European Study Group Mathematics with Industry (ESGI58/SWI2007), 29 January - 2 February 2007, Utrecht, The Netherlands (pp. 101-105). Utrecht: Utrecht University.
Hout, in 't, K. ; Bierkens, J. ; Ploeg, van der, A.P.C. ; Panhuis, in 't, J.C.H.W. / A semi closed-form analytic pricing formula for call options in a hybrid Heston-Hull-White model. Proceedings 58th European Study Group Mathematics with Industry (ESGI58/SWI2007), 29 January - 2 February 2007, Utrecht, The Netherlands. editor / R.H. Bisseling ; K. Dajani ; T.J. Dijkema ; J. Leur, van de ; P.A. Zegeling. Utrecht : Utrecht University, 2007. pp. 101-105
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year = "2007",
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Hout, in 't, K, Bierkens, J, Ploeg, van der, APC & Panhuis, in 't, JCHW 2007, A semi closed-form analytic pricing formula for call options in a hybrid Heston-Hull-White model. in RH Bisseling, K Dajani, TJ Dijkema, J Leur, van de & PA Zegeling (eds), Proceedings 58th European Study Group Mathematics with Industry (ESGI58/SWI2007), 29 January - 2 February 2007, Utrecht, The Netherlands. Utrecht University, Utrecht, pp. 101-105.

A semi closed-form analytic pricing formula for call options in a hybrid Heston-Hull-White model. / Hout, in 't, K.; Bierkens, J.; Ploeg, van der, A.P.C.; Panhuis, in 't, J.C.H.W.

Proceedings 58th European Study Group Mathematics with Industry (ESGI58/SWI2007), 29 January - 2 February 2007, Utrecht, The Netherlands. ed. / R.H. Bisseling; K. Dajani; T.J. Dijkema; J. Leur, van de; P.A. Zegeling. Utrecht : Utrecht University, 2007. p. 101-105.

Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademicpeer-review

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BT - Proceedings 58th European Study Group Mathematics with Industry (ESGI58/SWI2007), 29 January - 2 February 2007, Utrecht, The Netherlands

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Hout, in 't K, Bierkens J, Ploeg, van der APC, Panhuis, in 't JCHW. A semi closed-form analytic pricing formula for call options in a hybrid Heston-Hull-White model. In Bisseling RH, Dajani K, Dijkema TJ, Leur, van de J, Zegeling PA, editors, Proceedings 58th European Study Group Mathematics with Industry (ESGI58/SWI2007), 29 January - 2 February 2007, Utrecht, The Netherlands. Utrecht: Utrecht University. 2007. p. 101-105